EWHA Portal

Ewha W.UEwha W.U

Open Search
Search
Open Mobile Menu

Ewha W.U

Search
nav bar
 
Ewha University
홈 바로가기

College of Social Sciences

Jaeho Yun Professor

Department of Economics

윤재호 프로필 사진 
Dr. Jaeho Yun is a professor in the Department of Economics. He earned his Ph.D. in economics from Cornell University in 2009. Before joining Ewha Womans University, he worked at the Bank of Korea from 1996 to 2012. He has published over 20 papers in SSCI- and KCI-indexed journals, including the Journal of Banking & Finance, Journal of Financial Econometrics, and Journal of International Money and Finance. His research covers topics such as stock prices, financial derivatives, risk premiums, systemic risks, foreign exchange rates, and the term structure of interest rates. He has taught various finance and econometrics courses, including financial economics, financial engineering, and financial econometrics, at both undergraduate and graduate levels.
Research Record
  • Rethinking the delayed overshooting puzzle: An examination through present value framework JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2025, v.153, 103301
    SSCI Scopus dColl.
  • [학술지논문] Rethinking the delayed overshooting puzzle: An examination through present value framework Journal of International Money and Finance, 2025, v.153 no.1 , 1-24
    SSCI
  • [학술지논문] International linkages of term structures: US and Korea Treasury bond yields JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2023, v.138 no.1 , 1-21
    SSCI
  • [학술지논문] The Korea-U.S. Interest Rate Differential, Real Exchange Rates & the Dollar-Carry Currency Return on the Korean Won: A Present Value Approach 경제분석, 2023, v.29 no.1 , 1-42
    KCI
  • [학술지논문] A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX ECONOMICS LETTERS, 2020, v.186 no.0 , 108755-108755
    SSCI
  • [학술지논문] Density Forecast Evaluations via a Simulation-Based Dynamic Probability Integral Transformation JOURNAL OF FINANCIAL ECONOMETRICS, 2020, v.18 no.1 , 24-58
    SSCI
  • [학술지논문] Variance risk premium in a small open economy with volatile capital flows: The case of Korea INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2020, v.65 no.1 , 105-125
    SSCI
  • [학술지논문] Term premia in affine term structure models with unspanned macroeconomic factors: The case of Korea Journal of Economic Theory and Econometrics, 2020, v.31 no.2 , 70-110
    Scopus
  • [학술지논문] Prediction of Exchange Rates and Capital Flows via the Relative Nelson-Siegel Factors 금융안정연구, 2020, v.21 no.2 , 91-125
    KCI
  • [학술지논문] 이자율 스프레드의 경기 예측력: 문헌 서베이 및 한국의 사례 분석 경제분석, 2020, v.26 no.3 , 1-47
    KCI
  • [학술지논문] Bond risk premia in a small open economy with volatile capital flows: The case of Korea JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2019, v.93 no.1 , 223-243
    SSCI
  • [학술지논문] Information Contents in Variance Risk Premium: The Case of Korea 국제경제연구, 2019, v.25 no.3 , 1-29
    KCI
  • [학술지논문] VaR Forecasts for Korea TreasuryBonds via EVT and CAViaR Models 금융안정연구, 2018, v.19 no.1 , 1-38
    KCI
  • [학술지논문] The effect of banking sector’s business conditions on the transmission mechanism of monetary policy Journal of Economic Theory and Econometrics, 2016, v.27 no.3 , 112-143
    Scopus
  • [학술지논문] Measuring systemic risk contributions using conditional beta 금융감독연구, 2016, v.3 no.1 , 1-31
  • [학술지논문] Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models PACIFIC-BASIN FINANCE JOURNAL, 2014, v.27 no.0 , 94-114
    SCI
  • [학술지논문] Out-of-sample density forecasts with affine jump diffusion models Journal of Banking and Finance, 2014, v.47 no.1 , 74-87
    SSCI
  • [학술지논문] Performance Analysis of the Systemic Risk Measures with Different Data Frequencies 금융안정연구, 2014, v.15 no.1 , 99-128
    KCI
  • [학술지논문] Monetary Aggregates and the Central Bank's Financial Stability Mandate INTERNATIONAL JOURNAL OF CENTRAL BANKING, 2013, v.9 no.0 , 69-107
    SCI
  • [학술지논문] 구조 벡터자기회귀모형을 이용한 거시금융기간구조분석 계량경제학보, 2012, v.23 no.4 , 278-311
    KCI
  • [학술지논문] A Survey on the Effect of Financial Environment Change on the Monetary Policy Transmission Mechanism: Focused on the Non-traditional Transmission Mechanism 사회과학연구논총, 2012, v.28 no.28 , 103-144
    KCI
  • [학술지논문] The role of time-varying jump risk premia in pricing stock index options JOURNAL OF EMPIRICAL FINANCE, 2011, v.18 no.5 , 833-846
    SSCI
  • [학술지논문] The Relationship between Retirement and Household Consumption 경제분석, 2011, v.17 no.1 , 1-44
  • [학술지논문] Asymmetric Responses of Commercial Bank Lending and Deposit Rates to Monetary Policy Regimes 금융연구, 2011, v.25 no.2 , 29-55
  • [학술발표] Variance risk premium in a small open economy with volatile capital flows: the case of Korea 2017년 한국계량경제학회 하계정기학술대회, 대한민국, 서울, 2017-06-23 2017년 한국계량경제학회 하계정기학술대회, 2017
  • [학술발표] 동태적 확률적분 전환을 이용한 주가수익률 확률밀도 예측모형 평가 2016년 한국계량경제학회 하계정기학술대회, 대한민국, 제주시, 2016-06-23 2016년 한국계량경제학회 하계정기학술대회, 2016
  • [학술발표] Density Forecasts with Affine Jump Diffusion Models via Time-varying Jump Risk Premia 한국계량경제학회 하계정기학술대회, 대한민국, 서울, 2013-08-30 한국계량경제학회 하계정기학술대회, 2013
  • [학술발표] Stock Returns' Density Forecast Performance of the Affine Jump Diffusion Models 2012년 하계 정기학술대회 및 총회, 대한민국, 서울, 2012-06-23 없음, 2012
Read More
Courses

  • 2025-1st

    • Economics of the stock markets

      • Subject No 33165Class No 01
      • 3Year ( 3Credit , 3Hour) Tue 4~4 (POSCO262) , Fri 5~5 (POSCO262)
        • Syllabus(File)

    • Financial Economics

      • Subject No 36304Class No 01
      • 3Year ( 3Credit , 3Hour) Mon 4~4 (POSCO) , Thu 5~5 (153)
        • Syllabus(File)

  • 2024-2nd

    • Financial Econometrics

      • Subject No 36067Class No 01
      • 3Year ( 3Credit , 3Hour) Tue 2~2 (POSCO261) , Fri 3~3 (POSCO261)
        • Syllabus(File)

    • Introduction to Financial Engineering

      • Subject No 37436Class No 01
      • 3Year ( 3Credit , 3Hour) Tue 4~4 (POSCO) , Fri 5~5 (153)
        • Syllabus(File)

  • 2024-1st

    • Financial Economics

      • Subject No 36304Class No 02
      • 3Year ( 3Credit , 3Hour) Mon 4~4 (POSCO) , Thu 5~5 (161)
        • Syllabus(File)

    • Financial Econometrics

      • Subject No G16434Class No 01
      • Year ( 3Credit , 3Hour) Thu 2~3 (POSCO354)
        • Syllabus(File)

  • 2023-2nd

  • 2023-1st

  • 2022-2nd

    • Financial Econometrics

      • Subject No 36067Class No 01
      • 3Year ( 3Credit , 3Hour) Tue 2~2 (POSCO253) , Fri 3~3 (POSCO253)
        • Syllabus(File)

    • Introduction to Financial Engineering

      • Subject No 37436Class No 01
      • 3Year ( 3Credit , 3Hour) Tue 4~4 (POSCO253) , Fri 5~5 (POSCO253)
        • Syllabus(File)

  • 2022-1st

    • Financial Economics

      • Subject No 36304Class No 02
      • 3Year ( 3Credit , 3Hour) Mon 4~4 , Thu 5~5
        • Syllabus(File)

    • Financial Econometrics

      • Subject No G16434Class No 01
      • Year ( 3Credit , 3Hour) Tue 3~4 (-)
        • Syllabus(File)
Read More
Academic Background

Cornell University Ph.D.(Economics)

Seoul Nat'l Univ. 경제학석사(국제경제)

Cornell University M.A.(Economics)

Seoul Nat'l Univ. 경제학사(국제경제)

List